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作者：Morrison, Alan D.; White, Lucy
作者单位：University of Oxford
摘要：We analyze the desirability of level playing fields in international financial regulation. In general, level playing fields impose the standards of the weakest regulator upon the best-regulated economies. However, they may be desirable when capital is mobile because they counter a cherry-picking effect that lowers the size and efficiency of banks in weaker economies. Hence, while a laissez faire policy favors the better-regulated economy, level playing fields are good for weaker regulators. We...
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作者：Van Nieuwerburgh, Stijn; Veldkamp, Laura
作者单位：New York University; National Bureau of Economic Research; New York University
摘要：Many argue that home bias arises because home investors can predict home asset payoffs more accurately than foreigners can. But why does global information access not eliminate this asymmetry ? We model investors, endowed with a small home information advantage, who choose what information to learn before they invest. Surprisingly, even when home investors can learn what foreigners know, they choose not to: Investors profit more from knowing information others do not know. Learning amplifies i...
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作者：Driessen, Joost; Maenhout, Pascal J.; Vilkov, Grigory
作者单位：University of Amsterdam
摘要：We study whether exposure to marketwide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns. We find evidence of priced correlation risk based on prices of index and individual variance risk. A trading strategy exploiting priced correlation risk generates a high alpha and is attractive for CRRA investors without frictions. Correlation risk exposure explains the cross-section of index and individual option returns ...
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作者：Hasbrouck, Joel
作者单位：New York University
摘要：The effective cost of trading is usually estimated from transaction-level data. This study proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the daily Gibbs estimate achieves a correlation of 0.965 with the transaction-level estimate. When the Gibbs estimates are incorporated into asset pricing specifications over a long historical sample (1926 to 2006), the results suggest that effective cost (as a characteristic) is positively related to stock returns. ...
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作者：Kale, Jayant R.; Reis, Ebru; Venkateswaran, Anand
作者单位：University System of Georgia; Georgia State University; Bentley University; University System of Ohio; Miami University; Northwestern University
摘要：We investigate simultaneously the impact of promotion-based tournament incentives for VPs and equity-based (alignment) incentives for VPs and the chief executive officer (CEO) on firm performance. We find that tournament incentives, as measured by the pay differential between the CEO and VPs, relate positively to firm performance. The relation is more positive when the CEO nears retirement and less positive when the firm has a new CEO, and weakens further when the new CEO is an outsider. Our a...
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作者：Gorton, Gary; Kahl, Matthias; Rosen, Richard J.
作者单位：Yale University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We propose a theory of mergers that combines managerial merger motives with an industry-level regime shift that may lead to value-increasing merger opportunities. Anticipation of these merger opportunities can lead to defensive acquisitions, where managers acquire other firms to avoid losing private benefits if their firms are acquired, or positioning acquisitions, where firms position themselves as more attractive takeover targets to earn takeover premia. The identity of acquirers and targets...
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作者：Savor, Pavel G.; Lu, Qi
作者单位：University of Pennsylvania; Northwestern University
摘要：This paper finds support for the hypothesis that overvalued firms create value for long-term shareholders by using their equity as currency. Any approach centered on abnormal returns is complicated by the fact that the most overvalued firms have the greatest incentive to engage in stock acquisitions. We solve this endogeneity problem by creating a sample of mergers that fail for exogenous reasons. We find that unsuccessful stock bidders significantly underperform successful ones. Failure to co...
